本文關鍵詞： 利率風險 利率期限結構 關鍵利率持續(xù)期 Weibull分布 VaR CVaR　出處：《武漢理工大學》2013年碩士論文　論文類型：學位論文

【摘要】：利率的劇烈波動是當今世界各種金融機構都要面對的嚴峻挑戰(zhàn),如果金融機構及其他參與者不能有效的利用各種手段管理利率風險,那么利率的變化將導致巨額財富的轉移與重新分配.管理利率風險的有效方法是利用持續(xù)期模型,但是傳統(tǒng)的持續(xù)期模型只能解釋無違約債券大約百分之七十的利率風險,這對于利率風險管理所希望達到的精確程度,是遠遠不夠的.因此,近年來出現(xiàn)了很多新的持續(xù)期模型,包括在本文中詳細討論的關鍵利率持續(xù)期模型. 各種持續(xù)期模型的建立及對其效果的評估與利率期限結構密不可分.在對不同利率期限結構理論研究的基礎上往往可以建立相應的利率風險模型.同時,各種利率風險模型的適用范圍和效果也與利率期限結構的特征與變動情況密切相關.因此,本文詳細分析了利率期限結構理論及現(xiàn)實生活中構造利率期限結構的方法. 利率風險模型與現(xiàn)實緊密相連,對模型的討論最終要應用到現(xiàn)實生活中.因此論文的設計充分考慮到了這一點：本文首先從分析國債市場交易數(shù)據(jù)開始,根據(jù)具體情況建立利率期限結構；其次將利率期限結構與關鍵利率持續(xù)期相結合；最后將關鍵利率持續(xù)期運用到風險值與條件風險值的計算當中. 全文共分為五部分： 第一部分,主要對利率風險模型的理論和國內外的研究文獻進行了綜述,著重指出了利率的期限結構與利率風險模型之間的緊密關系,對我國現(xiàn)階段的研究情況進行了分析并說明論文的研究方向. 第二部分,詳細討論了利率的期限結構理論和在實際生活中,利率期限結構具體是如何構造的. 第三部分,利率風險模型是本文的重點章節(jié).在這一部分里,分析了幾種傳統(tǒng)的持續(xù)期模型,以及有優(yōu)勢的關鍵利率期限結構模型. 第四部分,屬于實證分析：先利用三次樣條函數(shù)得到利率期限結構,利用十種債券構成三種資產組合分別計算關鍵利率持續(xù)期,并模擬出關鍵利率變化量的分布Weibull分布；最后進行風險值VaR與條件風險值CVaR的計算. 第五部分,是結論與展望.
[Abstract]:The sharp fluctuation of interest rate is a severe challenge to all kinds of financial institutions in the world. If financial institutions and other participants can not effectively use various means to manage interest rate risk. Then the change of interest rate will lead to the transfer and redistribution of huge wealth. The effective way to manage interest rate risk is to use the duration model. However, the traditional duration model can only explain the interest rate risk of non-default bonds about 70%, which is not enough for the accuracy of interest rate risk management. In recent years, many new duration models have emerged, including the key interest rate duration model discussed in detail in this paper. The establishment of various duration models and the evaluation of their effects are closely related to the term structure of interest rate. On the basis of the theoretical study of different term structure of interest rate, the corresponding interest rate risk model can be established. At the same time. The applicability and effect of various interest rate risk models are closely related to the characteristics and changes of interest rate term structure. In this paper, the theory of term structure of interest rate and the method of constructing term structure of interest rate in real life are analyzed in detail. The interest rate risk model is closely connected with the reality, and the discussion of the model should be applied to the real life. Therefore, the design of this paper fully takes this point into account: firstly, this paper begins with the analysis of the trading data in the national debt market. Establish term structure of interest rate according to specific situation; Secondly, the term structure of interest rate is combined with the duration of key interest rate; Finally, the key interest rate duration is applied to the calculation of risk value and conditional risk value. The full text is divided into five parts: The first part mainly summarizes the theory of interest rate risk model and domestic and foreign research literature, and emphatically points out the close relationship between the term structure of interest rate and the interest rate risk model. This paper analyzes the current research situation of our country and explains the research direction of the thesis. In the second part, the theory of term structure of interest rate and how to construct the term structure of interest rate in real life are discussed in detail. In the third part, interest rate risk model is the key chapter of this paper. In this part, we analyze several traditional duration models, as well as the key interest rate term structure model. Part 4th is an empirical analysis: first, we use cubic spline function to get the term structure of interest rate, and use ten kinds of bonds to form three kinds of portfolio to calculate the duration of key interest rate. The Weibull distribution of the key interest rate variation is simulated. Finally, the risk value VaR and conditional risk value CVaR are calculated. Part 5th is the conclusion and prospect.
【學位授予單位】：武漢理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F820;F224

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本文編號：1471403